You need to disable ALL of the connections apart from the one you are using. This includes disabling any broadband (however you connect), USB, other ethernet, 1394/Firewire connections etc.
You will also need to FULLY DISABLE the built in Windows XP Firewall. You can do that by clicking "Change Windows Firewall Settings" on the left pane in the Network Connections window.
Liam.
(p.s.... are you sure its a crossover cable you have found as i used to use a straight/patch cable for mine and although they look identical it just wont work)